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I am a beginner and I have a very elementary question, but I don't know where to find the answer!

I am downloading the CRSP monthly stock files for 20 years. I want to have only AMEX and NYSE stocks. But I think CRSP has all stocks including NASDAQ. How can I keep only NYSE and AMEX and delete any other markets from the data? Is there any indicator which shows which stock is traded in which market?

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On the CRSP database, for each stock there is a field called EXCHCD. This field will indicate you the exchange. Here are the exchange codes:

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So if you keep only the stocks with codes 1 and 2 you should be good to go.

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